Heh, seems you haven´t met a proper wraith, no really I usually take someone strong Spider Queen my favorite and Undying or something. Then I Cast few transfixes on a hero... well he/she can resist it max three times, (unless it´s Glorfindel, Lord of the West or Treebeard or Wizard or something ofc.) At this point herose are pretty much toast and it takes about 5-8 will points, so I have 15-12 left, and after that S. Queen/Troll charges into a transfixed or Compeled hero, believe me he/she is toast...
But if an opoonent would field some cheaper herose, eg. named captains or some. then it would be quite hard to efficiently use Nazgyl to his full potent, but then again S. Queen/Troll is mostly a match to most captains available to this game... Cause it´s hard to focus on such heroes...
Although It´s always possible to call heroic fights and heroic moves (if your Aragorn or Boromir, or even Elendil) to cut throw enemy lines quickly and kill the magic caster...It is pretty risky...
Oh and did I mention that all wraiths should be mounted on horses, so that they can see over other models? so unless you are 28 cm away from a wraith you really can´t do anything....against them....
I know this talk is "all shiny EGO talk" but it´s mostly true... I cut down Elendil with Dark Marshal (on horse) with Spider Queen, but the lack of might costed me DM, as Gil-Galad saved the day... nevertheless a High Numenorean King was dead...
Add to that that a Named wraith on a horse is usually also cheaper than those uber-herose...
But in game terms it always depends...
Oh and one more thing, never use a Nazgyl as a fighter unless it´s a fully upgraded Witch-King on a fell beast (though I still don´t recommend it too much, cause fellbeast tend to be easily killed by bow fire) Khamul or Knight of Umbar